Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
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Publication:2393347
DOI10.1007/s10479-012-1142-1zbMath1269.91082OpenAlexW1999710902MaRDI QIDQ2393347
Svetlozar T. Rachev, Frank J. Fabozzi, Stoyan V. Stoyanov
Publication date: 7 August 2013
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10.1007/s10479-012-1142-1
stable distributionsvalue-at-riskconditional value-at-riskmarginal rebalancingstudent's \(t\) distribution
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Uses Software
Cites Work
- Fat tails, VaR and subadditivity
- Stochastic models for risk estimation in volatile markets: a survey
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- Conditional value at risk and related linear programming models for portfolio optimization
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